I noticed this problem a long time ago that sometimes browsers don't accept cookies even if cookies are not disabled.
From time to time I am receiving messages from my users that there are some bugs on my website. After short investigation I discovered that reported bugs are caused because there is no cookie which must exist.
One I experienced the same problem - I logged in to my website but didn't get any cookies. I spent several hours trying to understand what causes this problem but no success. Then I deleted Temporary Internet Files and this solved the problem.